This information is for the 2020/21 session.
Teacher responsible
Dr George Tzougas
Availability
This course is available on the BSc in Actuarial Science, BSc in Business Mathematics and Statistics and BSc in Mathematics, Statistics and Business. This course is available as an outside option to students on other programmes where regulations permit and to General Course students.
Pre-requisites
Students must have completed Probability, Distribution Theory and Inference (ST202) and Stochastic Processes (ST302).
Course content
An introduction to actuarial work in non-life insurance. Decision theory concepts: game theory, optimum strategies, decision functions, risk functions, the minimax criterion and the Bayes criterion. Loss distributions with and without limits and risk-sharing arrangements; suitable, moments and moment generating functions, the gamma, exponential, Pareto, generalised Pareto, normal, lognormal, Weibull, Burr and other distributions suitable for modelling individual and aggregate losses; statistical inference. Risk models involving frequency and severity distributions; the basic short-term contracts, moments, moment generating functions and other properties of compound distributions. Reinsurance treaties; proportional, excess of loss, stop-loss, deriving the distribution, moments, moment generating functions and other properties of the losses to the insurer and reinsurer under all the models above. Ruin theory for continuous and discrete models. Fundamental concepts of Bayesian statistics; Bayes theorem, prior distributions, posterior distributions, conjugate prior distributions, loss functions, Bayesian estimators. Credibility theory; Bayesian models. Experience rating models and applications. Claims reserving: run-off triangles. Monte-Carlo simulation and applications in insurance.
Teaching
This course will be delivered through a combination of classes and lectures totalling a minimum of 30 hours across Michaelmas Term. This year, some or all of this teaching may be delivered through a combination of virtual classes and flipped-lectures delivered as short online videos.
Formative coursework
Compulsory written answers to one set of problems. There will also be a mock exam during week 6.
Indicative reading
Notes are given out in the lectures. The Institute of Actuaries, Core reading Subject CT6.
For full details of the syllabus of CT6, see:
http://stats.lse.ac.uk/angelos/guides/2004_CT6.pdf.
Assessment
Exam (100%, duration: 3 hours) in the January exam period.
Key facts
Department: Statistics
Total students 2019/20: 70
Average class size 2019/20: 23
Capped 2019/20: No
Value: Half Unit
Personal development skills
Important information in response to COVID-19
Please note that during 2020/21 academic year some variation to teaching and learning activities may be required to respond to changes in public health advice and/or to account for the situation of students in attendance on campus and those studying online during the early part of the academic year. For assessment, this may involve changes to mode of delivery and/or the format or weighting of assessments. Changes will only be made if required and students will be notified about any changes to teaching or assessment plans at the earliest opportunity.
Student performance results
(2017/18 - 2019/20 combined)
| Classification | % of students |
|---|---|
| First | 49.4 |
| 2:1 | 21.3 |
| 2:2 | 14 |
| Third | 8.5 |
| Fail | 6.8 |